A Study of the Efficiency of Exact Methods for Diffusion Simulation

  • Stefano Peluchetti
  • Gareth O. Roberts
Conference paper
Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 23)


In this paper we investigate the efficiency of some simulation schemes for the numerical solution of uni- and multi-dimensional stochastic differential equation (SDE) with particular interest in a recently developed technique for diffusion simulation [5] which avoids the need for any time-discretisation approximation (the so-called exact algorithm for diffusion simulation). The schemes considered are: the Exact Algorithm, the Euler, the Predictor-Corrector and the Ozaki-Shoji schemes. The analysis is carried out via a simulation study using some test SDEs. We also consider efficiency issues arising by the extension of EA to the multi-dimensional setting.


Stochastic Differential Equation Acceptance Rate Exact Algorithm Discretisation Scheme Poisson Point Process 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  1. 1.HSBCLondonUK
  2. 2.Department of StatisticsUniversity of WarwickCoventryUK

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